Jackknife Empirical Likelihood Intervals for Spearman’s Rho

Ruodu Wang and Liang Peng

North American Actuarial Journal, 2011, vol. 15, issue 4, 475-486

Abstract: In connection with copulas, rank correlation such as Kendall’s tau and Spearman’s rho has been employed in risk management for summarizing dependence between two variables and estimating parameters in bivariate copulas and elliptical models. In this paper a jackknife empirical likelihood method is proposed to construct confidence intervals for Spearman’s rho without estimating the asymptotic variance. A simulation study confirms the advantages of the proposed method.

Date: 2011
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DOI: 10.1080/10920277.2011.10597633

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